A Generalization of the Formulas for Options on the Maximum or the Minimum of Several Assets

This paper generalizes the option on the maximum or the minimum of two assets (several assets) within a stochastic interest rate framework. A Gaussian model is used to describe the interest rates. Closed-form solutions for the market values are presented. The use of the options is illustrated with n...

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Published in:The European journal of finance 2006-12, Vol.12 (8), p.717-730
Main Author: Lindset, Snorre
Format: Article
Language:English
Subjects:
and Morton term structure of interest rates
Assets
Finance
Heath
Interest rates
Jarrow
Multivariate analysis
multivariate probabilities
Normal distribution
Options markets
Options on maximum or minimum of several assets
Options on stocks
Probability
Stochastic models
Studies
Term structure
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description This paper generalizes the option on the maximum or the minimum of two assets (several assets) within a stochastic interest rate framework. A Gaussian model is used to describe the interest rates. Closed-form solutions for the market values are presented. The use of the options is illustrated with numerical examples.
doi_str_mv 10.1080/13518470500392876
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ispartof The European journal of finance, 2006-12, Vol.12 (8), p.717-730
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source International Bibliography of the Social Sciences (IBSS); Taylor & Francis
subjects and Morton term structure of interest rates
Assets
Finance
Heath
Interest rates
Jarrow
Multivariate analysis
multivariate probabilities
Normal distribution
Options markets
Options on maximum or minimum of several assets
Options on stocks
Probability
Stochastic models
Studies
Term structure
title A Generalization of the Formulas for Options on the Maximum or the Minimum of Several Assets
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